Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0247 |
| Annualized Std Dev | 0.0942 |
| Annualized Sharpe (Rf=0%) | 0.2621 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3382.0000 |
| NAs | 1.0000 |
| Minimum | -0.0421 |
| Quartile 1 | -0.0034 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0035 |
| Maximum | 0.0462 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0000 |
| Stdev | 0.0059 |
| Skewness | 0.0823 |
| Kurtosis | 4.4216 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0042 |
| Gain Deviation | 0.0040 |
| Loss Deviation | 0.0039 |
| Downside Deviation (MAR=210%) | 0.0100 |
| Downside Deviation (Rf=0%) | 0.0041 |
| Downside Deviation (0%) | 0.0041 |
| Maximum Drawdown | 0.1786 |
| Historical VaR (95%) | -0.0089 |
| Historical ES (95%) | -0.0128 |
| Modified VaR (95%) | -0.0090 |
| Modified ES (95%) | -0.0133 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-12-31 | 2009-06-10 | 2011-09-12 | -0.1786 | 680 | 111 | 569 |
| 2016-07-11 | 2018-11-02 | 2019-08-14 | -0.1508 | 780 | 586 | 194 |
| 2012-07-26 | 2013-12-31 | 2015-01-15 | -0.1407 | 622 | 360 | 262 |
| 2020-08-05 | 2021-03-18 | NA | -0.1340 | 158 | 156 | NA |
| 2020-03-10 | 2020-03-18 | 2020-07-31 | -0.1016 | 101 | 7 | 94 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 | -0.5 | 0.8 | 0.9 |
| 2008 | 0.3 | 1.2 | -1.2 | -0.1 | 0.7 | 0.2 | -0.1 | -0.6 | 0.8 | -0.2 | 1.9 | -2.4 | 0.5 |
| 2009 | -0.2 | -0.2 | 0.8 | -0.5 | -2.2 | 0.3 | 1.2 | 0.4 | 1 | 1.2 | -0.6 | -0.7 | 0.4 |
| 2010 | -0.2 | 0.1 | -0.3 | 0.8 | 0.4 | 0 | 1 | -1.4 | -0.1 | -0.2 | -1.4 | 1 | -0.3 |
| 2011 | -0.4 | 0.2 | 0.4 | 0.1 | 0.8 | -0.2 | 0.6 | 1.2 | 0.8 | 1.9 | -0.3 | 0.2 | 5.7 |
| 2012 | -0.7 | -0.6 | -0.8 | -0.4 | 1.4 | -0.8 | -0.4 | 0.8 | 0.2 | -0.3 | -0.1 | -0.9 | -2.5 |
| 2013 | -0.7 | 0.3 | 0.4 | 0.6 | -0.4 | 0.3 | -1.3 | 0 | -0.2 | -0.7 | -0.1 | -0.5 | -2.3 |
| 2014 | 0.3 | 0 | -0.3 | 0.6 | -0.2 | -0.5 | 0.4 | -0.1 | 1 | -0.3 | -0.1 | 0.1 | 1 |
| 2015 | 1.1 | 0.2 | 0.9 | -0.8 | -0.7 | -0.8 | 0.7 | 0.6 | 0.2 | 0.4 | 0.7 | 0.4 | 2.9 |
| 2016 | -0.2 | -1 | 0 | 0.2 | 0.2 | 0.7 | -0.5 | -0.1 | -0.5 | 0.1 | -0.7 | 0.2 | -1.6 |
| 2017 | -0.3 | -1.1 | 0.1 | -0.4 | 0 | -0.3 | 0.3 | -0.4 | 0.1 | 0.1 | 0.7 | 0.3 | -0.8 |
| 2018 | -0.7 | 0.5 | 0.3 | -0.2 | -0.5 | -0.2 | -0.3 | -0.3 | -0.6 | 0 | 0 | 0.3 | -1.6 |
| 2019 | -0.6 | -0.5 | -0.9 | 0.2 | 0.9 | 0 | 1.2 | 0.1 | 0.1 | -0.3 | -0.2 | -0.6 | -0.6 |
| 2020 | 0.6 | 1.8 | 1.5 | 0.3 | -0.1 | -0.3 | 0.1 | 0.5 | 0 | -0.5 | -0.9 | 0.1 | 3.2 |
| 2021 | 0.1 | -0.7 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-10-11 25.2 SPY 155. -0.00480 0.0094 0.0514 0.004 0.149 0.376 0.991 GLD 73.9 7.50e-3 0.0143
2 2007-10-12 25.2 SPY 156. 0.0055 0.0031 0.0498 0.0097 0.157 0.389 0.939 GLD 74.6 9.20e-3 0.0162
3 2007-10-15 25.2 SPY 155. -0.0084 -0.0001 0.041 0.0017 0.137 0.390 0.842 GLD 75.1 7.40e-3 0.036
4 2007-10-16 25.3 SPY 154. -0.0079 -0.0173 0.0384 -0.0045 0.126 0.390 0.817 GLD 75.1 -3.00e-4 0.0278
5 2007-10-17 25.5 SPY 154. 0.0031 -0.0126 0.0117 -0.0053 0.127 0.386 0.739 GLD 74.5 -8.30e-3 0.0155
6 2007-10-18 25.6 SPY 154. -0.0036 -0.0114 0.0022 0.00120 0.127 0.376 0.776 GLD 76 2.01e-2 0.0283
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
